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A critical issue involved with the transmission of monetary policy is the degree and speed at which changes in the official policy rate are transmitted to other rates faced by firms and households. The paper explores changing financial environment in Thailand after inflation targeting has adopted. Furthermore, the empirical analyses are provided to investigate the long-run relationship and the degree of pass-through between the policy rate and the various financial market interest rates in Thailand. It is found that there exist co-movements between 14-day repurchase rate and the financial market rates in the long-run, except for the finance company lending rate. The paper also shows that the transmission of monetary policy through the interest rate channel has become weak. Nonetheless, the credit channel through the commercial bank lending is still a valid monetary transmission mechanism of Thailand. It is worth noting that there is a decrease in the degree of disintermediation as well as an increase in the roles of other sources of fund.

It is commonly known that monetary authorities around the globe alter their policy instruments at their disposal in an attempt to achieve their ultimate objectives such as price stability and sustainable economic growth. These processes involve the transmission mechanism of monetary policy. Most central banks normally use a short-term interest rate as their main instrument of monetary policy. There is a presumption that the official rate changes will influence the other short-term rates set by other banks and financial institutions; as changes in the official rate are the first step in the transmission of monetary policy. Hence, consumption and investment decisions by households and firms will be led by changes in interest rates charged by banks and other financial institutions. Therefore, effect of monetary policy will be substantial, if official rate changes could be completely passed-through to other interest rates in the market over a reasonably short period of time. In other words, a critical issue involved with the transmission of monetary policy is the degree and speed at which changes in the official policy rate are transmitted to other rates faced by firms and households. In practice, the transmission mechanism of monetary policy is usually sluggish and incomplete in the short run; therefore, changes in the policy rate induced by monetary policy are transmitted to other interest rates with lag. Consequently, interest rate differentials exist in the economy. This paper aims at answering these following four questions: (1) What have happened in Thailand in term of financial environment after adopting inflation targeting? (2) To what extent are changes in the 14-day repurchase rate passed-through to various retail deposit and lending rates? (3) What are speeds at which changes in the policy rate transmitted to deposit and lending rates? And (4) How does monetary policy transmit its effect through credit and interest rate channels after inflation targeting has been adopted? This paper is structured as follows. Section 2 describes details on background of monetary policy in Thailand. Section 3 shows empirical testing of the relationship between monetary policy and interest rates, degree of pass-through and asymmetric adjustment as well. Section 4 employs vector-autoregression models to estimate monetary policy transmission in Thailand. Section 5 reflects our conclusion remark.

The transmission of monetary policy through the interest rate channel has become weak after inflation targeting has been adopted. Even thought the long-run relationship between the policy rate and the money market rates are still observed, the pass-through effect is quite low at about only 20%. On the other hand, the credit channel through the commercial bank lending is still a valid monetary transmission mechanism in Thailand during 2000:06–2006:07. The monetary policy significantly affects the commercial bank lending in the short run. Also the commercial banks still play important role in the Thai financial market as the major source of fund. Strong relationship between bank lending and economic activity indicate that there still exist bank-dependent borrowers who have limited opportunities to substitute credit from other financial intermediaries but banks. In addition, there still exists a significant relationship between the commercial bank lending rate and the economic activities.